Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0111
Annualized Std Dev 0.2078
Annualized Sharpe (Rf=0%) -0.0535

Row

Daily Return Statistics

Close
Observations 4441.0000
NAs 1.0000
Minimum -0.1903
Quartile 1 -0.0040
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0045
Maximum 0.2233
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0131
Skewness -0.0493
Kurtosis 52.5818

Downside Risk

Close
Semi Deviation 0.0096
Gain Deviation 0.0104
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0095
Downside Deviation (0%) 0.0095
Maximum Drawdown 0.7316
Historical VaR (95%) -0.0156
Historical ES (95%) -0.0310
Modified VaR (95%) -0.0078
Modified ES (95%) -0.0078
From Trough To Depth Length To Trough Recovery
2004-01-21 2008-11-21 NA -0.7316 4322 1221 NA
2003-08-18 2003-08-19 2003-10-09 -0.0563 38 2 36
2003-11-17 2003-11-24 2003-12-16 -0.0297 21 6 15
2004-01-07 2004-01-08 2004-01-14 -0.0170 6 2 4
2003-12-17 2003-12-17 2003-12-31 -0.0135 10 1 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA -0.1 0.3 0.1 1 0.3 2.3 4
2004 1.3 0.5 -0.2 0.3 -1.9 1 -0.3 -0.3 -1.1 0.4 0.8 0.5 1
2005 0.1 0.2 -0.5 1 0.5 0.3 -0.1 -0.7 0.4 -0.3 1 0.7 2.7
2006 0.3 -0.3 0.3 -0.7 -0.1 0.4 -0.6 -0.1 0.1 -1.3 -0.1 0.1 -1.9
2007 0 0.2 0.5 0.2 0.7 1 -1.1 0.7 0.1 -1.2 1.3 3.2 5.8
2008 0.7 -3.1 2.2 0.2 -0.1 -2 -0.1 -0.4 2.7 4.5 -7.1 4.9 1.9
2009 0.3 -3.5 0.7 3.4 1.5 1.1 4.4 -1.2 -1.6 -3.3 0 0.9 2.4
2010 2 2.2 -0.4 -0.6 2 -0.2 0.1 0.6 0.9 1.1 0.4 0.6 9
2011 0.6 -1 1.6 0.9 0.1 1.9 2.9 1.6 -1.4 -1.3 0.6 0.1 6.8
2012 -0.1 0.3 0.1 0.1 -0.6 0.8 0.8 0.8 -1 0.5 -0.1 1.1 2.6
2013 0.2 0.5 -0.3 0.5 -0.9 1.6 -0.7 0.2 0.5 0.1 0.4 0.6 2.7
2014 0.1 0.1 0.2 0 -0.3 -0.4 -0.6 0.1 -0.1 1 -0.7 1.3 0.8
2015 -0.2 0.3 0.5 0.4 0 -0.6 0.2 1 -1.4 0 0.6 0.2 1
2016 -0.1 2 -0.9 0 0.4 0 -1.3 -0.3 0.9 -0.3 -0.3 -0.3 -0.2
2017 -0.4 0.2 -0.1 0.6 0.1 1.4 0.2 0.3 0.4 -0.1 0 0 2.6
2018 0.4 -0.3 0.6 -0.1 0.3 -0.5 -0.2 -0.1 0.2 0.4 0.2 -0.9 0.1
2019 0.6 0.3 0.6 0.3 -0.3 1.3 0.5 -0.1 -0.3 0.4 0.7 0.8 4.8
2020 -0.4 -1.9 -3.3 -1.4 1.4 1.3 0.5 1.1 1.1 -0.6 0.9 0.8 -0.7
2021 0.7 1.8 -0.1 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-07-29  15   SPY    99.4 -0.0046    0.0023   0.0178   0.0829   0.107    -0.327       NA <NA>     NA    NA       NA
2 2003-07-30  15.0 SPY    99.2 -0.00240  -0.0008   0.0157   0.0789   0.0904   -0.325       NA <NA>     NA    NA       NA
3 2003-07-31  15.0 SPY    99.4  0.0023    0.0091   0.0087   0.0815   0.0903   -0.325       NA <NA>     NA    NA       NA
4 2003-08-01  15   SPY    98.5 -0.0089   -0.0172  -0.0126   0.0569   0.110    -0.325       NA <NA>     NA    NA       NA
5 2003-08-04  15   SPY    98.5  0        -0.0135  -0.0023   0.0589   0.135    -0.322       NA <NA>     NA    NA       NA
6 2003-08-05  15.0 SPY    96.4 -0.0212   -0.03    -0.0425   0.0267   0.151    -0.321       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart